All Questions
2 questions
39
votes
3
answers
4k
views
Manifold of probability measures: connections between two types of metrics
The space of probability measures could be viewed as an infinite-dimensional manifold, equipped with two possible types of metrics — (1) Wasserstein and (2) Fisher-Rao. Metric (1) is connected with ...
- 1,127
13
votes
2
answers
789
views
Geometric characterization of martingales
Recently I've read a paraphrasing from Ito saying that he sometimes thinks of martingales as geodesics in a very large dimensional manifold.
My question is, is there any research studying this idea?
...
- 5,405